Click the icons tool on the sidebar. This will cause an icon to follow your cursor around on the map.
Place icons with left-click. You can place as many icons as you wish. To finish placing icons, right-click or press Escape.
All the icons placed before right clicking will appear in the Layers list as a group. You can make multiple groups by clicking on the Icons tool again.
Icons are unnamed by default. You can change the name of a group by clicking on the name and typing in your desired one. You can change the name of an individual icon by clicking on the layer to open it up, clicking the pencil next to the name at the top of the menu, and typing in your desired name.